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TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS : transient linear price impact
Author(s):
Jim Gatheral
,
Alexander Schied
,
Alla Slynko
Publication date
Created:
July 2012
Publication date
(Print):
July 2012
Journal:
Mathematical Finance
Publisher:
Wiley-Blackwell
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Abstract
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Numerical Algebra, Matrix Theory, Differential-Algebraic Equations, and Control Theory
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Optimal execution of portfolio transactions
Robert Almgren
,
Neil Chriss
(2001)
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Optimal control of execution costs
Dimitris Bertsimas
,
Andrew Lo
(1998)
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Foundations of Modern Potential Theory
N. S. Landkof
(1972)
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Author and article information
Journal
Title:
Mathematical Finance
Publisher:
Wiley-Blackwell
ISSN:
09601627
Publication date Created:
July 2012
Publication date (Print):
July 2012
Volume
: 22
Issue
: 3
Pages
: 445-474
Article
DOI:
10.1111/j.1467-9965.2011.00478.x
SO-VID:
cd6bbd95-c716-4aa9-b858-43ea1f8ed0d5
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© 2012
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http://doi.wiley.com/10.1002/tdm_license_1.1
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